Do you have hard water? Sometimes that can react badly with certain shampoos (especially if they have sulphates) and cause build up.
You can buy quite cheap shower filters on Ebay:
Showering in Chlorine Free Water has many health benefits, resulting in greater respiratory health by reducing the risk of asthma and bronchitis from chlorine inhalation. As chlorine is a leading cause of fatigue, showering in filtered, chlorine-free water results in higher energy levels and...
www.ebay.co.uk
Flow rate: 1 GPM.
www.ebay.co.uk
I also second a clarifying shampoo and just using it maybe once a week or if/when you feel you need to.